Robust Standard Errors in Small Samples: Some Practical Advice

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Authors Guido Imbens, M. Kolesár
Journal/Conference Name Review of Economics and Statistics
Paper Category
Paper Abstract We study the properties of heteroskedasticity-robust confidence intervals for regression parameters. We show that confidence intervals based on a degrees-of-freedom correction suggested by Bell and McCaffrey (2002) are a natural extension of a principled approach to the Behrens-Fisher problem. We suggest a further improvement for the case with clustering. We show that these standard errors can lead to substantial improvements in coverage rates even for samples with fifty or more clusters.We recommend that researchers routinely calculate the Bell-McCaffrey degrees-of-freedom adjustment to assess potential problems with conventional robust standard errors.
Date of publication 2012
Code Programming Language R
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